# Factor Calculation for Factor Investment Model

hersheythings·2021년 8월 27일
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# Factor Calculation

## 1. BM Ratios

### Book to Market

• $Common\,Shareholders'\,Equity\,/\,Market\,Cap$

## 2. EP Ratios

### PER

• $Price\,per\,Share\,/EPS=Market\,Cap\,/Net\,Income$

### PBR

• $Price\,per\,Share\,/\,BPS=Market\,Cap\,/\,Total \,Equity$

### PSR

• $Price\,per\,Share\,/\,SPS=Market\,Cap\,/\,Sales$

### EV/EBITDA

• $Enterprise\,Value\,/\,EBITDA = (Equity\,Value + Net\, Debt)/EBITDA$

### ROE (Return on Equity)

• $Net\,Income\,/\,Total\,Equity$

### ROA (Return on Asset)

• $Net\,Income\,/\,Total\,Asset$

### Gross Profit Ratio

• $Gross\,Profit\,/\,Sales=(Sales-COGS)/Sales$

where COGS stands for Cost of Goods Sold

### ROTC (Return on Total Capital)

• $NOPAT\,/\,Total\,Capital = EBIT(1-t)\,/\,Total\,Capital$

분자의 경우, EBIT를 써도 무방

### ROIC (Return on Invested Capital)

• $NOPAT\,/\,Invested\,Capital=EBIT(1-t)\,/\,Invested\,Capital$

분자의 경우, EBIT를 써도 무방

### RNOA (Return on Net Operating Asset)

• $Net\,Income/NOA\,=\,Net\,Income\,/(Operating\,Asset - Operating\,Liabilities)\,=\,Operating\,Assets - (Total\, Liabilities - IBD)$

where IBD stands for "Interest Bearing Debts (LTD + STD)"

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